This package contains data together with the Matlab and Stata codes that produce all tables and 
figures in the paper. 

There are two data files: “Data.mat” for generating results for all tables and figures, except the 
results for Brexit analysis, which are obtained using data in “Brexit_Data.dta” 

Because the data used in this paper (CRSP, Compustat, and Optionmetrics) is copyright data, we 
included the codes that reflect our analysis and pseudo data that can be used for running the codes. 
Note that this is not the actual data used to generate the results of the paper. 

The structure of all variables is in matrix forms (i.e., number of months × number of PERMNOs). 
	- Option returns data is from 02/2003 to 06/2019 (197 months)
	- Data on other stock and option characteristics is from 01/2003 to 05/2019 (197 months)
	- Data on firm-level political risk is from the website: https://www.firmlevelrisk.com/
	- Data on Fama and French factors is from French’s library: http://mba.tuck.dartmouth.edu/
		pages/faculty/ken.french/data_library.html
	- Data on lobbying/donation is from: https://www.opensecrets.org/
	- Data on financial intermediaries’ net selling volume is from Chen et al. (2019).
  


